One of the most common uses for the Apple menu has been to quickly launch utilities, system settings, and programs. Starting with its early implementations in the classic Mac OS, you used it to access the control panel, the calculator, keycaps, and other accessories. With later versions Apple added the ability to launch recent applications and documents--a feature that has carried over to OS X today.
If you commonly use the Apple menu to access recent items, you may also like to locate the files on the hard drive. There are many times when I would like to organize some of the common files and folders I use, and many times at least one file within those folders or next to them will be in the Apple menu.
One way to access one of the Recent Items files is to open the document, and then hold the Command key while clicking the document's title to get the folder path for that file. From here you can select any parent folder to open it in the Finder. While this method works, will not do for Application and there is a delay while the application opens and loads the file.
An easier way to open the enclosing folder for a recent items file is to use the Apple menu itself. With the menu open, just hold the Command key down and any documents or applications in the "Recent Items" folder will change from its name to "Show <name> in the Finder."
Update: Keep in mind that this is only for Snow Leopard, and will not work for 10.5 or earlier.